No. of Recommendations: 22
I was reading through back research articles on seekingalpha and one noted that the ratio of 21 day SMA to 200 day was a key momentum criteria beyond the usual ones so I used it by itself and I came up with a Nasdaq100 strategy using just that ratio to reduce the 100 (now 101) stocks in the index to 5 traded monthly:
Twice the Nasdaq100, essentially same beta, much better sharpe ratio, marginally better max drawdown:
strategy v. Nasdaq100 19850201 forward
cagr 23.7 11.5
sharpe .75 .44
beta 1.33 1.29
mdd -75.6 -80.8
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gtr1.net: GTR1 Backtester - Liquid_consolidators
Nasdaq100 stocks
ratio(sma(1,21),sma(1,200)) top 5
that's it
